기업가치에 관한 비대칭정보가 기업합병에 미치는 영향 (The Effect of Market Valuation on Corporate Acquisitions)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 22권 / 1호 / 63 ~ 98페이지
· 저자명 : 윤정선, 정무권

초록

본 연구는 주식시장의 가치평가오류가 기업의 인수합병시장에 미치는 영향을 주주가치와 주가변동성의 변화 및 이 두 변수의 상호 연관성에 기초하여 고찰하였다. 먼저, 합병공시 전후의 합병기업의 주가는 양(+)의 초과수익률을 시현하여 기존연구와 일관성을 보였으나, 합병완료 후에는 주가가 큰 폭으로 하락함을 발견하였다. 또한 합병기업의 경영자 스톡옵션의 가치가 상대적으로 높아 과대평가되었을 가능성이 있는 기업은 공시전 후의 초과수익률이 낮았고 합병완료 이후 주가하락폭도 컸다. 한편 합병기업의 주가변동성은 합병완료 이후 유의하게 하락하였으나 합병기업의 경영자가 스톡옵션을 보유한 경우에는 그 하락폭이 유의하지 않았다. 그리고 주가변동성의 하락폭이 큰 기업일수록 합병에 따른 주가반응이 덜 긍정적인 것으로 확인되었다. 이와 같은 결과는 과대평가된 기업이 주식교환을 통해 과대평가되지 않은 타기업을 인수함으로써 기업가치를 극대화하고자 한다는 가치평가오류가설과 부합되는 것으로 보인다.

영어초록

Recent research on corporate acquisitions suggests that misvaluation in the stock market affects the M&A activities. The management of an overvalued firm may be tempted to maximize its shareholder value by exchanging its overvalued stocks with those of less overvalued firms (Shleifer and Vishny, 2003; Rhodes-Kropf et al., 2005). Consequently, using stocks as a medium of payment in a merger can be interpreted as a signal that the acquiror may have been overvalued; thus, the market response could be less favorable (Dong et al., 2006). In order to prevent such a negative effect of using stocks, an acquiror whose firm is not overvalued prefers to make a cash offer (Shleifer and Vishny, 2003).
Another important implication of the misvaluation hypothesis is that corporate acquisitions by an overvalued firm tend to reduce the stock price volatility as long as non-overvalued target firms are found in different industries from the overvalued firm (Cai and Vijh, 2007). This hypothesis contrasts with the agency view that a decrease in the stock price volatility after a merger results from the managerial incentives, seeking the insurance effects on its career by diversifying firms under its control.
This paper examines changes in the shareholder value and the stock price volatility following merger announcements and tests whether the corporate acquisition in the absence of strategic choice of a medium of payment incurs a signaling effect of overvaluation. To do so, we introduce a simple model of a merger in which the merger announcement can be considered a signal of overvaluation. In the model, the management of an acquiring firm has private information on the synergy of acquisition and the value of the firm. We show that the management chooses acquisitions regardless of the synergy if the firm is overvalued, while, otherwise, it chooses acquisitions only when the acquisition synergy is large enough. As a result, a corporate acquisition by a firm that is potentially overvalued may raise a concern on the possibility of adverse selection.
In general, the adverse selection can be avoided if the management can strategically choose the medium of the payment. In this paper, however, we insist that due to the unique feature of Korean M&A market in which cash offers are not allowed in M&A transactions, the valuation effects of the merger announcement in Korea reflect both synergy expectation and the concerns about adverse selection.
We provide empirical analyses on whether the stock market reactions to the merger announcement are less favorable as the acquiror is more likely to be overvalued. We choose the value of the stock options that the management of the acquiror is endowed as a proxy variable to determine whether the firm is overvalued. More specifically, we classify sample firms whose stock options for the management are in-the-money (ITM firms, hereafter) to be more likely to be overvalued and those whose stock options are out-of-the-money(OTM firms, hereafter) to be less likely.
Empirical results show that first, ITM firms exhibit a lower cumulative abnormal return than OTM firms do following the merger announcement. Furthermore, ITM firms exhibit a large decrease in the stock price after the completion of the merger while OTM firms do not. This result is consistent with the misvaluation hypothesis that overvalued firms attempt to use the overvalued shares of stock to acquire other firms to maximize the shareholder value. For ITM firms, an increase in the stock price due to the expectation of merger synergy is at least partially countervailed by concerns on adverse selection. On the other hand, OTM firms experience a greater increase in the stock price since adverse selection is less severe.
Second, we find that the cumulative abnormal returns to the merger announcement are positively related with changes in the stock price volatility after the completion of the merger. In other words, firms with a greater decrease in the stock price volatility exhibit less increase in the stock price. This result supports that a decrease in stock price volatility may be a consequence of the managerial attempt to utilize the overvalued stocks to acquire firms at a lower price than the target company deserves, not necessarily an outcome of agency problems.
Lastly, we find that firms whose management has stock options do not exhibit a decrease in the volatility of their stock prices, while those whose management does not have stock options do. This result is consistent with the notion that firms whose management has stock options are less likely to pursue diversification than firms whose management does not. In addition, our empirical results turned out to be robust to the use of pre-merger stock performance as another proxy variable of overvaluation.

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